The Role of Investor Attention Index in Explaining Bitcoin Volatility

Posted on October 14, 2025 By Harbourfront Technologies

Modeling and forecasting volatility is essential in trading and risk management. Extensive research has been conducted on volatility modeling in traditional financial markets, and recently, attention has increasingly been directed toward cryptocurrency volatility. The standard approach often relies on econometric models. Reference applied the GARCH-MIDAS model to study Bitcoin …

Fractional Geometric Brownian Motion and Its Application to Futures Arbitrage

Posted on October 10, 2025 By Harbourfront Technologies

Geometric Brownian Motion (GBM) is the fundamental stochastic process used to model asset prices in continuous time. It serves as the foundation for pricing models such as the Black–Scholes–Merton framework. However, some critics argue that the assumptions of GBM are unrealistic, and researchers continue to explore ways to modify and …

Impact of Artificial Intelligence on Financial Markets: a Quantitative and Qualitative Analysis

Posted on October 6, 2025 By Harbourfront Technologies

Artificial intelligence (AI) has become an integral part of modern finance, transforming how institutions analyze data, manage risk, and execute trades. By leveraging machine learning algorithms and natural language processing, AI systems can identify complex patterns in large financial datasets, forecast market movements, and detect anomalies that might signal fraud …

Return and Variance Risk Premia in the Bitcoin Market

Posted on October 2, 2025 By Harbourfront Technologies

The volatility risk premium (VRP) has been studied extensively in the literature, especially in equities. However, little work has been done in the crypto space. Reference fills this gap by investigating the Bitcoin return premium (BP) and the Bitcoin variance risk premium (BVRP). The authors utilized Bitcoin options data …

Incorporating Reflexivity into the Black–Scholes-Merton Framework

Posted on September 28, 2025 By Harbourfront Technologies

The Black-Scholes-Merton model (BSM) is a mathematical framework used to value options. Developed by Fischer Black, Myron Scholes, and Robert Merton in the early 1970s, it provides a formula for calculating the fair price of a European call or put option. The model assumes that markets are efficient, asset returns …

The Effectiveness of Dollar Cost Averaging Under Varying Market Conditions

Posted on September 24, 2025 By Harbourfront Technologies

Dollar-cost averaging (DCA) is an investment strategy where you invest a fixed amount of money at regular intervals, regardless of market conditions. By consistently buying over time, you smooth out entry prices, reduce the impact of short-term volatility, and avoid the risk of mistiming the market with a single large …

The Volatility Risk Premium Around Macroeconomic Announcements

Posted on September 20, 2025 By Harbourfront Technologies

Markets are typically volatile, and price movements accelerate during macroeconomic announcements. We have discussed the macroeconomic announcement premium and the related beta arbitrage strategy. Along this line of research, Reference examined the returns of delta-neutral straddles around macroeconomic announcements. By analyzing these returns, one can draw conclusions about the …

Hedge Effectiveness Under a Four-State Regime Switching Model

Posted on September 16, 2025 By Harbourfront Technologies

Identifying market regimes is important for understanding shifts in risk, return, and volatility across financial assets. With the advancement of machine learning, many regime-switching and machine learning methods have been proposed. However, these methods, while promising, often face challenges of interpretability, overfitting, and a lack of robustness in real-world deployment. …

Comparative Analysis of Gold Forecasting Models: Statistical vs. Machine Learning Approaches

Posted on September 12, 2025 By Harbourfront Technologies

Gold is an important asset class, serving as both a store of value and a hedge against inflation and market uncertainty. Therefore, performing predictive analysis of gold prices is essential. Reference evaluated several predictive methods for gold prices. It examined not only classical, statistical approaches but also newer machine …

Volatility, Correlations, and Causal Links in Cryptocurrency Markets

Posted on September 8, 2025 By Harbourfront Technologies

Analyzing volatilities, correlations, and lead–lag relationships across financial assets is important for portfolio and risk management. As cryptocurrencies gain traction, research in this area is growing. Reference studies the causal relationships, volatility, and correlations among major cryptocurrencies and the Crypto Volatility Index (CVI). A distinctive aspect of this work …